A StackOverflow article explains that if a Jenkins agent on Windows needs to interact with the Windows desktop (for example, to run “mygame.exe” in automatic play mode), then the agent must be run from the Windows desktop.
When the Jenkins controller is run as a service, it cannot interact with the Windows desktop. You’ll need to define an agent in that Windows controller and run that agent from within Windows desktop. A batch script that starts the agent immediately after Windows login is one way to do that.